基于横截面收益特征的投资组合构建及优化探索

发布时间：2019-03-28 12:37

【摘要】：横截面收益异象是在股票市场中广泛存在的现象。大量针对世界各国股票市场的研究发现,与公司基本面相关的特征变量,包括公司规模(ME)、账面市值比(BE/ME)和盈余价格比(E/P)等能解释公司股票未来的收益率,具有相近特征值的公司的股票价格往往表现出同向的变化。这与有效市场假说(EMH)和资本资产定价模型(CAPM)相悖。因此,许多学者致力于横截面收益现象及形成原因的研究,试图用现代金融理论和行为金融理论来解释横截面收益现象。横截面收益现象的研究告诉我们,利用某些特征值构建出的股票组合具有溢价效应,因而可以获得超额收益。本文以此为出发点,首先对中国股票市场的横截面收益现象进行验证,包括横截面收益现象的存在性、显著性、稳定性以及演变规律。进而根据特征变量构建组合,考察组合在各期间的表现。最后探讨优化组合收益率的方法。本文选取流通市值和账面市值比两个特征变量,对2006年6月-2011年5月期间中国股票市场横截面收益现象的存在性以及显著性进行实证检验后发现,规模效应存在并且是显著的,而价值效应存在但并不显著。以行业配置选股为目的,进而考察了房地产板块的横截面收益现象,结果发现规模效应和价值效应都存在,但是均不显著。最后从组合调整频率和权重的分配角度对组合的优化进行探索：分析组合收益率随调整频率变化的规律,进而论证了最优调整频率的存在；试图调整权重分配来提高组合收益率,并探讨了此方法改善组合收益率的局限性。
[Abstract]:Cross-sectional income anomaly is a widespread phenomenon in the stock market. A large number of studies on stock markets around the world have found that characteristic variables related to corporate fundamentals, including firm size (ME), Book-to-market ratio (BE/ME) and earnings-price ratio (E / P) can explain the future return of a company's stock, and the stock price of a company with similar eigenvalues tends to change in the same direction. This is contrary to the efficient market hypothesis (EMH) and the capital asset pricing model (CAPM). Therefore, many scholars are devoted to the study of cross-sectional income phenomenon and its formation, trying to explain the cross-sectional return phenomenon by modern financial theory and behavioral financial theory. The study of cross-sectional return phenomenon tells us that the stock portfolio constructed by using some characteristic values has a premium effect, so the excess return can be obtained. Taking this as a starting point, this paper first verifies the cross-section return phenomenon of Chinese stock market, including the existence, significance, stability and evolution of cross-section return phenomenon. Then the combination is constructed according to the characteristic variables, and the performance of the combination in each period is investigated. Finally, the method of optimizing portfolio yield is discussed. This paper selects two characteristic variables, circulation market value and book market value ratio, and empirically tests the existence and significance of cross-sectional returns in Chinese stock market from June 2006 to May 2011. Scale effect exists and is significant, but value effect exists but not significant. For the purpose of industry allocation and stock selection, the cross-sectional income phenomenon of the real estate sector is investigated. The results show that both the scale effect and the value effect exist, but they are not significant. Finally, the optimization of portfolio is explored from the angle of distribution of combination adjustment frequency and weight: analyzing the rule of portfolio yield changing with adjustment frequency, and demonstrating the existence of optimal adjustment frequency; This paper attempts to adjust the weight distribution to improve the portfolio return rate, and discusses the limitations of this method to improve the portfolio return rate.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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